Portfolio Margin Parameters

For each asset, you can imply the spot Shift parameters from the following link:

https://docs.exchange.bullish.com/rest/api/get-assets

Let’s denote bpmMin = bpmMinReturnEnd- 1 and bpmMax = bpmMaxReturnEnd - 1.

• Delta-One: SpotShiftsParams ={bpmMin, bpmMax}

• Options: SpotShiftsParams ={bpmMin, bpmMin/2, 0, bpmMax/2, bpmMax}

Each time we update these parameters, we transition the old Value (bpmMinReturnStart) to the new value (bpmMinReturnEnd) over a transition period between bpmTransitionDateTimeStart and bpmTransitionDateTimeEnd. After the transition, bpmMinReturnEnd and bpmMaxReturnEnd are effective until the parameters are updated again (once a month, unless market is extremely volatile in which case they can be updated on a ad-hoc basis).

The five shifts mentioned above will be paired with the volatility shifts mentioned below, resulting in 15 market environments.

In addition to these 15 market environments, another two scenarios are run, with a vol shift up and:

• an extreme shock up (X times bpmMax) and we then divide the impact by X

• an extreme shock down (Y times bpmMin) and we then divide the impact by Y

X and Y are defined as:Spot shifts

For each asset, you can imply the spot Shift parameters from the following link:

https://docs.exchange.bullish.com/rest/api/get-assets

Let’s denote bpmMin = bpmMinReturnEnd- 1 and bpmMax = bpmMaxReturnEnd - 1.

• Delta-One: SpotShiftsParams ={bpmMin, bpmMax} 

• Options: SpotShiftsParams ={bpmMin, bpmMin/2, 0, bpmMax/2, bpmMax}

Each time we update these parameters, we transition the old Value (bpmMinReturnStart) to the new value (bpmMinReturnEnd) over a transition period between bpmTransitionDateTimeStart and bpmTransitionDateTimeEnd. After the transition, bpmMinReturnEnd and bpmMaxReturnEnd are effective until the parameters are updated again (once a month, unless market is extremely volatile in which case they can be updated on a ad-hoc basis).

The five shifts mentioned above will be paired with the volatility shifts mentioned below, resulting in 15 market environments.

In addition to these 15 market environments, another two scenarios are run, with a vol shift up and:

• an extreme shock up (X times bpmMax) and we then divide the impact by X

• an extreme shock down (Y times bpmMin) and we then divide the impact by Y

X and Y are defined as:

Open

For an option with maturity T and strike K:

Open

The volatility shift parameters (vol grid) are queryable via the trading API https://docs.exchange.bullish.com/rest/api/get-vol-grids :

• GET /trading-api/v1/vol-grids — retrieve all vol grids

• GET /trading-api/v1/assets/{symbol}/vol-grid — retrieve the vol grid for a specific symbol

Similar to the spot shifts, these values are refreshed on a monthly basis (unless markets are extremely volatile, in which case they can be updated on an ad-hoc basis).

Similarly, the market risk floor values per asset are accessible via API here.